Estimating FIFO Limit Order Queue Position from Public Book Data

Summary

The document asks whether a trader with only displayed book depth and executed volume at the bid and ask can estimate their place in a limit order queue more accurately on a strict first-in, first-out venue than on a venue with additional priority rules. The answer is a concise conceptual point: fewer allocation rules make the queue easier to reason about, so FIFO simplifies position estimates.

The material provides no estimation procedure, empirical evidence, or account of how hidden liquidity, cancellations, feed delays, or order modifications affect estimates. It therefore supports only the general intuition that simpler priority rules reduce modeling complexity; it does not quantify the benefit or show how to reconstruct queue position from observed data.

Key ideas

• FIFO priority makes queue position easier to estimate because orders follow a simpler priority rule.
• Additional allocation rules create more uncertainty about which orders execute first.
• Displayed depth and executed volume alone do not establish an exact queue position in every market.

Tags

# PIQ estimation for FIFO limit order book


# PIQ estimation for FIFO limit order book












Assuming that one doesn't have any kind of priveleged data feed (i.e. info is depth of book and volume executed at bid and ask), is it inherently easier to more accurately estimate position in queue in a limit order book that is strictly FIFO (as opposed to those where orders can receive priority according to any factor other than time of submission)?

## Answer by chrisaycock (score 1)

https://quant.stackexchange.com/a/7315

Yes, it's easier to estimate position if there are fewer rules to worry about.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.